Bacry, Emmanuel
- Hawkes processes in finance
2015/02/16 by Emmanuel Bacry, Iacopo Mastromatteo, Bacry, Emmanuel +3 · 20 citations
Mathematics · #Point processes and geometric inequalities
- Sparse and low-rank multivariate Hawkes processes
2015/01/04 by Bacry, Emmanuel, Bompaire, Martin, Gaïffas, Stéphane +1 · 6 citations
#FOS: Computer and information sciences #Machine Learning (stat.ML)
- Second order statistics characterization of Hawkes processes and\n non-parametric estimation
2014/01/05 by Emmanuel Bacry, Bacry, Emmanuel, Jean–François Muzy +1 · 4 citations
Biochemistry, Genetics and Molecular Biology · Mathematics · #Diffusion and Search Dynamics #FOS: Computer and information sciences #FOS: Economics and business #FOS: Mathematics #FOS: Physical sciences #Geophysics (physics.geo-ph) #Methodology (stat.ME) #Point processes and geometric inequalities #Statistical Finance (q-fin.ST) #Statistics Theory (math.ST) #Trading and Market Microstructure (q-fin.TR)
- Uncovering Causality from Multivariate Hawkes Integrated Cumulants
2016/07/21 by Massil Achab, Emmanuel Bacry, Achab, Massil +7 · 3 citations
Biochemistry, Genetics and Molecular Biology · Computer Science · Mathematics · #Bayesian Methods and Mixture Models #Diffusion and Search Dynamics #FOS: Computer and information sciences #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Point processes and geometric inequalities
- Tick: a Python library for statistical learning, with a particular emphasis on time-dependent modelling
2017/07/10 by Bacry, Emmanuel, Bompaire, Martin, Gaïffas, Stéphane +1 · 3 citations
#FOS: Computer and information sciences #Machine Learning (stat.ML)
- Market impacts and the life cycle of investors orders
2014/11/30 by Bacry, Emmanuel, Iuga, Adrian, Lasnier, Matthieu +1 · 2 citations
#91G99 #FOS: Economics and business #Trading and Market Microstructure (q-fin.TR)
- Queue-reactive Hawkes models for the order flow
2019/01/25 by Peng Wu, Marcello Rambaldi, Wu, Peng +5 · 2 citations
Economics, Econometrics and Finance · Mathematics · #FOS: Economics and business #Financial Risk and Volatility Modeling #Point processes and geometric inequalities #Statistical Methods and Bayesian Inference #Trading and Market Microstructure (q-fin.TR)
- Scaling limits for Hawkes processes and application to financial\n statistics
2012/02/03 by Emmanuel Bacry, Sylvain Delattre, Bacry, Emmanuel +5 · 2 citations
Biochemistry, Genetics and Molecular Biology · Mathematics · #60F05 #60G55 #62M10 #Diffusion and Search Dynamics #FOS: Mathematics #Point processes and geometric inequalities #Probability (math.PR) #Stochastic processes and statistical mechanics
- No Tick-Size Too Small: A General Method for Modelling Small Tick Limit Order Books
2024/10/11 by Jain, Konark, Muzy, Jean-François, Kochems, Jonathan +1 · 2 citations
#Computational Engineering #Computational Finance (q-fin.CP) #FOS: Computer and information sciences #FOS: Economics and business #Finance #Trading and Market Microstructure (q-fin.TR) #and Science (cs.CE)